{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import sys\n",
    "\n",
    "sys.path.insert(0, \"../../\")\n",
    "from pyecharts import online\n",
    "\n",
    "online()\n",
    "#  演示必要的准备代码，使用该库时不需重复此单元格命令"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "import xalpha as xa\n",
    "import pandas as pd"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 基金定投探究"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "波动和成长，标的的性质如何影响定投的成绩"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "zz500 = xa.indexinfo(\"0000905\")\n",
    "zz500b = xa.indexinfo(\"0000831\")\n",
    "# 采用中证500和500低贝进行研究"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [],
   "source": [
    "zz500.bcmkset(xa.cashinfo())\n",
    "zz500b.bcmkset(xa.cashinfo())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.31811907574774867, 0.29669632893344722)"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500.algorithm_volatility(), zz500b.algorithm_volatility()\n",
    "# 低波波动性低的也没那么明显"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.12470000000000001, 0.1726)"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500.total_annualized_returns(), zz500b.total_annualized_returns()\n",
    "# 不过低波的收益率可是强多了"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [],
   "source": [
    "auto = xa.policy.scheduled(\n",
    "    zz500, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n",
    ")\n",
    "autob = xa.policy.scheduled(\n",
    "    zz500b, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n",
    ")\n",
    "# 每周四定投1000元"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [],
   "source": [
    "zz500t = xa.trade(zz500, auto.status)\n",
    "zz500bt = xa.trade(zz500b, autob.status)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.45607187160394663, 0.46458845644291197)"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500t.xirrrate(\"2015-06-01\"), zz500bt.xirrrate(\"2015-06-01\")\n",
    "# 到牛市顶部时，年化收益率竟然差不多"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>基金名称</th>\n",
       "      <th>基金代码</th>\n",
       "      <th>当日净值</th>\n",
       "      <th>单位成本</th>\n",
       "      <th>持有份额</th>\n",
       "      <th>基金现值</th>\n",
       "      <th>基金总申购</th>\n",
       "      <th>历史最大占用</th>\n",
       "      <th>基金持有成本</th>\n",
       "      <th>基金分红与赎回</th>\n",
       "      <th>换手率</th>\n",
       "      <th>基金收益总额</th>\n",
       "      <th>投资收益率</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>中证500</td>\n",
       "      <td>0000905</td>\n",
       "      <td>10.627208</td>\n",
       "      <td>3.9089</td>\n",
       "      <td>53211.76</td>\n",
       "      <td>565492.42</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.113566</td>\n",
       "      <td>357492.42</td>\n",
       "      <td>171.8714</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    基金名称     基金代码       当日净值    单位成本      持有份额       基金现值     基金总申购    历史最大占用  \\\n",
       "0  中证500  0000905  10.627208  3.9089  53211.76  565492.42  208000.0  208000.0   \n",
       "\n",
       "     基金持有成本  基金分红与赎回       换手率     基金收益总额     投资收益率  \n",
       "0  208000.0      0.0  0.113566  357492.42  171.8714  "
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500t.dailyreport(\"2015-06-01\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>基金名称</th>\n",
       "      <th>基金代码</th>\n",
       "      <th>当日净值</th>\n",
       "      <th>单位成本</th>\n",
       "      <th>持有份额</th>\n",
       "      <th>基金现值</th>\n",
       "      <th>基金总申购</th>\n",
       "      <th>历史最大占用</th>\n",
       "      <th>基金持有成本</th>\n",
       "      <th>基金分红与赎回</th>\n",
       "      <th>换手率</th>\n",
       "      <th>基金收益总额</th>\n",
       "      <th>投资收益率</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>500µÍ±´</td>\n",
       "      <td>0000831</td>\n",
       "      <td>14.630401</td>\n",
       "      <td>5.2911</td>\n",
       "      <td>39311.42</td>\n",
       "      <td>575141.83</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.113566</td>\n",
       "      <td>367141.83</td>\n",
       "      <td>176.5105</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      基金名称     基金代码       当日净值    单位成本      持有份额       基金现值     基金总申购  \\\n",
       "0  500µÍ±´  0000831  14.630401  5.2911  39311.42  575141.83  208000.0   \n",
       "\n",
       "     历史最大占用    基金持有成本  基金分红与赎回       换手率     基金收益总额     投资收益率  \n",
       "0  208000.0  208000.0      0.0  0.113566  367141.83  176.5105  "
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500bt.dailyreport(\"2015-06-01\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "由此可见，虽然低波的一次性投入对应的年化收益很高，但最终定投下来和普通500指数的收益差不多。。。。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 还是换创业板暴力一发吧，让你们领略一下15年神创的风采\n",
    "cyb = xa.indexinfo(\"1399006\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [],
   "source": [
    "cyb.bcmkset(xa.cashinfo())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.30730000000000002, 0.30155185277351393)"
      ]
     },
     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "cyb.total_annualized_returns(\"2015-06-01\"), cyb.algorithm_volatility(\"2015-06-01\")\n",
    "# 令人眼红的收益率"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [],
   "source": [
    "autoc = xa.policy.scheduled(\n",
    "    cyb, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [],
   "source": [
    "cybt = xa.trade(cyb, autoc.status)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>基金名称</th>\n",
       "      <th>基金代码</th>\n",
       "      <th>当日净值</th>\n",
       "      <th>单位成本</th>\n",
       "      <th>持有份额</th>\n",
       "      <th>基金现值</th>\n",
       "      <th>基金总申购</th>\n",
       "      <th>历史最大占用</th>\n",
       "      <th>基金持有成本</th>\n",
       "      <th>基金分红与赎回</th>\n",
       "      <th>换手率</th>\n",
       "      <th>基金收益总额</th>\n",
       "      <th>投资收益率</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>创业板指</td>\n",
       "      <td>1399006</td>\n",
       "      <td>3.821031</td>\n",
       "      <td>0.9779</td>\n",
       "      <td>212690.33</td>\n",
       "      <td>812696.24</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.113566</td>\n",
       "      <td>604696.24</td>\n",
       "      <td>290.7193</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   基金名称     基金代码      当日净值    单位成本       持有份额       基金现值     基金总申购    历史最大占用  \\\n",
       "0  创业板指  1399006  3.821031  0.9779  212690.33  812696.24  208000.0  208000.0   \n",
       "\n",
       "     基金持有成本  基金分红与赎回       换手率     基金收益总额     投资收益率  \n",
       "0  208000.0      0.0  0.113566  604696.24  290.7193  "
      ]
     },
     "execution_count": 31,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "cybt.dailyreport(\"2015-06-01\")\n",
    "# 就问你怕不怕，同样的投入现金流，收益绝对值接近翻倍"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.6452718352308852"
      ]
     },
     "execution_count": 32,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "cybt.xirrrate(\"2015-06-01\")  # 60%多的年化"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.07698746449319872"
      ]
     },
     "execution_count": 34,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 不过如果不幸没有止盈，持有到现在\n",
    "cybt.xirrrate()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "让我这次定投一个大蓝筹"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [],
   "source": [
    "sz50 = xa.indexinfo(\"0000016\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [],
   "source": [
    "autod = xa.policy.scheduled(\n",
    "    sz50, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [],
   "source": [
    "sz50t = xa.trade(sz50, autod.status)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>基金名称</th>\n",
       "      <th>基金代码</th>\n",
       "      <th>当日净值</th>\n",
       "      <th>单位成本</th>\n",
       "      <th>持有份额</th>\n",
       "      <th>基金现值</th>\n",
       "      <th>基金总申购</th>\n",
       "      <th>历史最大占用</th>\n",
       "      <th>基金持有成本</th>\n",
       "      <th>基金分红与赎回</th>\n",
       "      <th>换手率</th>\n",
       "      <th>基金收益总额</th>\n",
       "      <th>投资收益率</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>上证５０</td>\n",
       "      <td>0000016</td>\n",
       "      <td>3.207919</td>\n",
       "      <td>1.6901</td>\n",
       "      <td>123070.13</td>\n",
       "      <td>394798.98</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>208000.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.113566</td>\n",
       "      <td>186798.98</td>\n",
       "      <td>89.8072</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   基金名称     基金代码      当日净值    单位成本       持有份额       基金现值     基金总申购    历史最大占用  \\\n",
       "0  上证５０  0000016  3.207919  1.6901  123070.13  394798.98  208000.0  208000.0   \n",
       "\n",
       "     基金持有成本  基金分红与赎回       换手率     基金收益总额    投资收益率  \n",
       "0  208000.0      0.0  0.113566  186798.98  89.8072  "
      ]
     },
     "execution_count": 42,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sz50t.dailyreport(\"2015-06-01\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.28189135734500326"
      ]
     },
     "execution_count": 43,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sz50t.xirrrate(\"2015-06-01\")\n",
    "# 不愧江湖诨号大烂臭，收益在15年的牛市中远小于中小盘"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [],
   "source": [
    "sz50.bcmkset(xa.cashinfo(), start=\"2011-01-01\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.2333094161336661"
      ]
     },
     "execution_count": 46,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sz50.algorithm_volatility(\"2015-06-01\")\n",
    "# 真点低波"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.06558331152460622"
      ]
     },
     "execution_count": 48,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 持有到现在，即使这几年大盘股反杀，依旧不如创业板\n",
    "sz50t.xirrrate()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### 试一下定期不定额的加强效果"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "autoe = xa.policy.scheduled_tune(\n",
    "    zz500,\n",
    "    600,\n",
    "    times=pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\"),\n",
    "    piece=[(3, 5), (3.5, 3), (4, 2), (5.5, 1)],\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "zz500t2 = xa.trade(zz500, autoe.status)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
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       "            \"data\": [],\n",
       "            \"barCategoryGap\": \"35%\",\n",
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       "                    \"show\": false,\n",
       "                    \"position\": \"top\",\n",
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       "                \"emphasis\": {\n",
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       "            \"boundaryGap\": true,\n",
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       "                \"formatter\": \"{value} \",\n",
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       "    \"color\": [\n",
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       "        \"#444693\",\n",
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       "        \"#6d8346\",\n",
       "        \"#ac6767\",\n",
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       "        \"#6950a1\",\n",
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       "        \"#f6f5ec\"\n",
       "    ],\n",
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       "            \"show\": true,\n",
       "            \"type\": \"slider\",\n",
       "            \"start\": 50,\n",
       "            \"end\": 100,\n",
       "            \"orient\": \"horizontal\"\n",
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       "    ]\n",
       "};\n",
       "myChart_6448baf0e90a494da2b8f7b2ebbf812f.setOption(option_6448baf0e90a494da2b8f7b2ebbf812f);\n",
       "\n",
       "    });\n",
       "</script>\n"
      ],
      "text/plain": [
       "<pyecharts.charts.bar.Bar at 0x113a156d8>"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "zz500t2.v_tradevolume()  # 每周的买入情况"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
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     "execution_count": 14,
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    "zz500t2.v_tradecost(end=\"2015-06-01\")  # 定投对于成本的平滑\n",
    "# 看似收益很高，但你真的能承受住开始定投后长达两年多的浮亏么，甚至很多至暗时刻，浮亏超过20%，能坚持下来么"
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   "execution_count": 21,
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       "    基金名称     基金代码      当日净值    单位成本      持有份额      基金现值     基金总申购    历史最大占用  \\\n",
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   "source": [
    "zz500t2.dailyreport(\"2012-11-30\")  # 看一下至暗时刻的投资表现"
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  },
  {
   "cell_type": "code",
   "execution_count": 11,
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       "    基金名称     基金代码       当日净值    单位成本      持有份额      基金现值     基金总申购    历史最大占用  \\\n",
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     "execution_count": 11,
     "metadata": {},
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   ],
   "source": [
    "zz500t2.dailyreport(\"2015-06-01\")  # 收益率略有提高"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.49963825079451923"
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     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
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   "source": [
    "zz500t2.xirrrate(\"2015-06-01\")  # 年化也小幅提高，不过即使对投资变额如此过优化，收益提升幅度还如此小，似乎意义不是很大"
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    "最后，通过改变 pd.data_range() 中 freq 的标签，比如 W－WED，或M，可以调整定投在周几定投，或是按月定投，这里就不大篇幅回测其表现对比了，结论就是：收益都差不多"
   ]
  }
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